高频交易过程的交易级分析的MA-MRR模型

IF 5.4 2区 管理学 Q1 BUSINESS, FINANCE
Qiang Zhang , Zudi Lu , Shancun Liu , Haijun Yang , Jingrui Pan
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引用次数: 0

摘要

Madhavan、Richardson 和 Roomans(1997 年,以下简称 MRR)对证券价格变化的交易层面分析是一个有用的金融分析框架。交易指标变量的一阶马尔可夫特性是 MRR 模型的关键假设,这与高频交易过程中经验证明的信息滞后相矛盾。本研究采用了非参数检验,结果表明,在大多数交易日,交易指标变量的马尔可夫特性被拒绝。根据价差分解结构,提出了 MA-MRR 模型,并采用移动平均结构吸收信息滞后作为扩展。实证结果表明,信息滞后在衡量逆向选择风险参数方面发挥了重要作用,且原始参数与扩展参数之间的差异显著。此外,我们的分析表明,信息滞后参数是衡量信息融入价格的平均速度的有用指标。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An MA-MRR model for transaction-level analysis of high-frequency trading processes

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the information lag empirically demonstrated in high-frequency trading processes. In this study, a nonparametric test is employed, which shows that the Markov property of the trading indicator variables is rejected on most trading days. Based on the spread decomposed structure, an MA-MRR model was proposed with a moving average structure adopted to absorb the information lag as an extension. The empirical results show that the information lag plays an important role in measuring the adverse selection risk parameter and that the difference in this parameter between the original and the extension is significant. Furthermore, our analysis suggests that the information lag parameter is a useful measure of the average speed at which information is incorporated into prices.

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来源期刊
Journal of Management Science and Engineering
Journal of Management Science and Engineering Engineering-Engineering (miscellaneous)
CiteScore
9.30
自引率
3.00%
发文量
37
审稿时长
108 days
期刊介绍: The Journal of Engineering and Applied Science (JEAS) is the official journal of the Faculty of Engineering, Cairo University (CUFE), Egypt, established in 1816. The Journal of Engineering and Applied Science publishes fundamental and applied research articles and reviews spanning different areas of engineering disciplines, applications, and interdisciplinary topics.
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